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A Note On Asset Bubbles In Continuous-Time

Author

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  • GIANLUCA CASSESE

    (Istituto di Economia Politica, Università Comm.le "Luigi Bocconi", via U. Gobbi, 5, 20136 Milan, Italy;
    University of Lugano, Switzerland)

Abstract

In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the existence of "bubbles". The structure of bubbles is explicitly characterized and we show that, for example, they may be of either sign. Furthermore, we discuss the existence of bubbles under alternative definitions of absence of arbitrage opportunities.

Suggested Citation

  • Gianluca Cassese, 2005. "A Note On Asset Bubbles In Continuous-Time," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 523-536.
    • Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:04:n:s0219024905003074
    DOI: 10.1142/S0219024905003074
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    Cited by:

    1. Gianluca Cassese, 2023. "Subjective Expected Utility and Psychological Gambles," Papers 2307.10328, arXiv.org, revised Oct 2023.
    2. Eduardo Giménez, 2007. "On the positive fundamental value of money with short-sale constraints," Annals of Finance, Springer, vol. 3(4), pages 455-469, October.
    3. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54, January.
    4. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
    5. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.

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